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A Second-Order Cone Based Approach for Solving the Trust Region Subproblem and Its Variants

机译:一种求解信赖域的二阶锥法   子问题及其变体

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摘要

We study the trust-region subproblem (TRS) of minimizing a nonconvexquadratic function over the unit ball with additional conic constraints.Despite having a nonconvex objective, it is known that the classical TRS and anumber of its variants are polynomial-time solvable. In this paper, we follow asecond-order cone (SOC) based approach to derive an exact convex reformulationof the TRS under a structural condition on the conic constraint. Our structuralcondition is immediately satisfied when there is no additional conicconstraints, and it generalizes several such conditions studied in theliterature. As a result, our study highlights an explicit connection betweenthe classical nonconvex TRS and smooth convex quadratic minimization, whichallows for the application of cheap iterative methods such as Nesterov'saccelerated gradient descent, to the TRS. Furthermore, under slightly strongerconditions, we give a low-complexity characterization of the convex hull of theepigraph of the nonconvex quadratic function intersected with the constraintsdefining the domain without any additional variables. We also explore theinclusion of additional hollow constraints to the domain of the TRS, andconvexification of the associated epigraph.
机译:我们研究了在具有附加圆锥约束的情况下最小化单位球上的非凸二次函数的信任区域子问题(TRS)。尽管具有非凸目标,但众所周知经典TRS及其许多变体都是多项式时间可解的。在本文中,我们遵循基于二阶圆锥(SOC)的方法,以在圆锥约束下的结构条件下,得出TRS的精确凸重构。当没有其他圆锥约束时,我们的结构条件立即得到满足,它概括了文献中研究的几个这样的条件。结果,我们的研究突出了经典非凸TRS与光滑凸二次最小化之间的显式联系,这允许将廉价的迭代方法(如Nesterov的加速梯度下降)应用于TRS。此外,在稍微强一些的条件下,我们给出了非凸二次函数的凸图的凸包的低复杂度特征,该凸包与定义域的约束相交而没有任何其他变量。我们还探讨了将其他空心约束包含到TRS域中,以及凸显相关的题词。

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